摘要
为了更好的平滑证券价格在市场中波动的不确定性,本文建立了基于平均证券价格的证券价格模型,并在此基础上计算出了欧式看涨期权价格公式。对比传统的Black-Scholes定价公式,新模型能够更好的适应市场的波动,对期权定价方法的拓展具有重要的作用。
In order to smooth volatility of in the market, a new average stock price model established by this article, and based on this model an European call option formula is given. By contract to traditional Black - Scholes option model, the new model can fit market volatility better and plays an important role in option pricing.
出处
《数学理论与应用》
2010年第1期47-50,共4页
Mathematical Theory and Applications
